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Article: Multivariate extreme value copulas with factor and tree dependence structures
Title | Multivariate extreme value copulas with factor and tree dependence structures |
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Authors | |
Keywords | Extreme value limit Gaussian quadrature Hüsler-Reiss distribution Parsimonious dependence Vine graphical model |
Issue Date | 2018 |
Publisher | Springer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1386-1999 |
Citation | Extremes, 2018, v. 21, p. 147-176 How to Cite? |
Abstract | Parsimonious extreme value copula models with O(d) parameters for d observed variables of extrema are presented. These models utilize the dependence characteristics, including factor and tree structures, assumed on the underlying variables that give rise to the data of extremes. For factor structures, a class of parametric models is obtained by taking the extreme value limit of factor copulas with non-zero tail dependence. An alternative model suitable for both factor and tree structures imposes constraints on the parametric Hüsler-Reiss copula to get representations in terms of O(d) other parameters. Dependence properties are discussed. As the full density is often intractable, the method of composite (pairwise) likelihood is used for model inference. Procedures to improve the stability of bivariate density evaluation are also developed. The proposed models are applied to two data examples — one for annual extreme river flows and one for bimonthly extremes of daily stock returns. |
Persistent Identifier | http://hdl.handle.net/10722/259499 |
ISSN | 2023 Impact Factor: 1.1 2023 SCImago Journal Rankings: 0.521 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Lee, D | - |
dc.contributor.author | Joe, H | - |
dc.date.accessioned | 2018-09-03T04:08:48Z | - |
dc.date.available | 2018-09-03T04:08:48Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Extremes, 2018, v. 21, p. 147-176 | - |
dc.identifier.issn | 1386-1999 | - |
dc.identifier.uri | http://hdl.handle.net/10722/259499 | - |
dc.description.abstract | Parsimonious extreme value copula models with O(d) parameters for d observed variables of extrema are presented. These models utilize the dependence characteristics, including factor and tree structures, assumed on the underlying variables that give rise to the data of extremes. For factor structures, a class of parametric models is obtained by taking the extreme value limit of factor copulas with non-zero tail dependence. An alternative model suitable for both factor and tree structures imposes constraints on the parametric Hüsler-Reiss copula to get representations in terms of O(d) other parameters. Dependence properties are discussed. As the full density is often intractable, the method of composite (pairwise) likelihood is used for model inference. Procedures to improve the stability of bivariate density evaluation are also developed. The proposed models are applied to two data examples — one for annual extreme river flows and one for bimonthly extremes of daily stock returns. | - |
dc.language | eng | - |
dc.publisher | Springer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1386-1999 | - |
dc.relation.ispartof | Extremes | - |
dc.rights | The final publication is available at Springer via http://dx.doi.org/10.1007/s10687-017-0298-0 | - |
dc.subject | Extreme value limit | - |
dc.subject | Gaussian quadrature | - |
dc.subject | Hüsler-Reiss distribution | - |
dc.subject | Parsimonious dependence | - |
dc.subject | Vine graphical model | - |
dc.title | Multivariate extreme value copulas with factor and tree dependence structures | - |
dc.type | Article | - |
dc.identifier.email | Lee, D: leedav@hku.hk | - |
dc.identifier.authority | Lee, D=rp02276 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1007/s10687-017-0298-0 | - |
dc.identifier.scopus | eid_2-s2.0-85020245884 | - |
dc.identifier.hkuros | 288843 | - |
dc.identifier.volume | 21 | - |
dc.identifier.spage | 147 | - |
dc.identifier.epage | 176 | - |
dc.identifier.isi | WOS:000425354300006 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 1386-1999 | - |